Summary

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The dashboard is created based on the settings below. It consist of 2 pages: A ‘Summary’ page and a ‘Risk Decomposition’ page. The ‘Summary’ page (the page you are on) contains the settings used for the creation of the dashboard as well as the portfolio profit/loss distribution. The page ‘Risk Decomposition’ contains detailed risk information for the top 10 portfolio positions (by market value and risk). Additionally it contains information about diversification in the portfolio. Use the ‘Navigate’ drop-down meny at the top of this page to navigate between the pages. In case you have any question or comments to the dashboard please contact EnvisionRisk at .

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Date

November 15 2022

Risk Measure

Expected Shortfall

Base Currency

EUR

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Horizon (in days)

1

Significance Level

97.5%

Volatility Assumption

point_in_time

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The risk measurement is based on the uncertainty of the future profit/loss (P&L) for the portfolio. The P&L distribution shown below is based on simulating P&L for each individual position and aggregate those into a portfolio P&L distribution. The P&L distribution for the individual positions are based on EnvisionRisk’s Economic Scenario Generator which simulates future states of the markets for each individual position. Our Economic Scenario Generator is built upon advanced statistical techniques using extreme value distributions and copulas to better captures the special characteristics of financial instruments. Is based on a Monte Carlo simulation approach with 10,000 scenarios for each position. It takes volatility clustering, skewed return distributions and fat-tails into account. These methods are superior at adapting to the stylized characteristics of financial returns.

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Portfolio Profit/Loss distribution

Risk Decomposition

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The table below summarizing the market value, risk and diversification effects for the top 10 positions in the portfolio (measured by market value and risk). The absolute numbers are in the base-currency and is dependent on the day of the prediction. The calculation of the risk is based on the risk measure type (Value-at-Risk or Expected Shortfall), the significance level, the volatility assumption and the risk horizon. The ‘regular’ risk column are the individual positions marginal risk, while the ‘component’ column are the individual positions risk contribution to the portfolio risk. The difference between the regular- and component risk measurement is interpreted as the diversification effect for the position. While the regular risk is always negative, the component risk for individual positions can be positive.

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Positions, Market Value, Risk & Diversification

position
notational
market value
risk
diversification
uid symbol name # EUR % EUR regular component EUR %
9c1a33a2ec9b537c7d788c24aaf9b80e SPY.US SPDR S&P 500 ETF Trust 119 45.755 8% 45.755 -3.037 -2.366 -671 22%
e8a7f176cb1a711c6cbec3668491b0b1 CashUSD CashInstrument 156.000 150.521 26% 150.521 -2.747 -1.656 -1.091 40%
e12361a8be228927f9cb122893c57850 MAERSK-B.CO A.P. Møller - Mærsk A/S 17 35.001 6% 35.001 -2.829 -1.579 -1.250 44%
40e4d1dcab6950408995b2403bb34dca USDSEK USDSEK 110.000 106.137 18% 106.137 -1.937 -1.167 -769 40%
e8606b2dc3bea03103f20a1cacc74bf3 EFA.US iShares MSCI EAFE ETF 342 21.515 4% 21.515 -1.474 -1.159 -315 21%
df1d39397381257a05e60b79e4729fa8 EEM.US iShares MSCI Emerging Markets ETF 572 21.414 4% 21.414 -1.221 -902 -318 26%
d673349c6e73c924f856b008b903cea7 DANSKE.CO Danske Bank A/S 928 14.883 3% 14.883 -1.092 -454 -638 58%
097e3c7b3d4a5bc330d957bf4f601b59 CashZAR CashInstrument 1.770.000 98.925 17% 98.925 -1.534 -305 -1.229 80%
c4dc76fe04d097f7befed785dd7afb85 SHY.US iShares 1-3 Year Treasury Bond ETF 162 12.700 2% 12.700 -238 -127 -111 47%
88245063205d1e20aaf49039c6a69877 TLT.US iShares 20+ Year Treasury Bond ETF 215 20.585 4% 20.585 -886 -86 -800 90%
other 59.072 10% 25.366 -1.386 111 -1.497 108%
all 586.509 100% 552.802 -18.381 -9.692 -8.689 47%

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Some commentary about the asset allocation & Diversification.

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Portfolio Currency Denominated Risk

Diversification Effects (top 10)